|
|  |
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
st: RE: Finding a vector minimizing the variance with Stata 8.2
|
From |
"Feiveson, Alan H. (JSC-SK311)" <[email protected]> |
|
To |
<[email protected]> |
|
Subject |
st: RE: Finding a vector minimizing the variance with Stata 8.2 |
|
Date |
Mon, 17 Jul 2006 08:49:19 -0500 |
Kristin - I assume V is symmetric. You need to add a constraint to make
the solution to your problem unique and/or interesting. The most common
constraint is that w have unit length (w'w=1) in which case the solution
is the eignenvector associated with the minimum eigenvalue of V. -matrix
symeigen- will find it for you. Other constraints are also possible -
those will change the solution. If you don't put any constraint on and V
is positive definite, then w can be 0 to get the minimum - clearly this
is not what you want.
Al Feiveson
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Kristin J.
Kleinjans
Sent: Monday, July 17, 2006 8:28 AM
To: [email protected]
Subject: st: Finding a vector minimizing the variance with Stata 8.2
Dear Statalist,
I need to find a vector w such that
X=w'V w is minimized, where V is a variance-covariance matrix. I use
Stata
8.2 - does anybody know if there is a way to do this?
Thank you,
Kristin
Kristin J. Kleinjans
University of Aarhus
Department of Economics
Building 322
8000 Aarhus C
Denmark
Phone: +45 8942 1624. Fax: +45 8613 6334
E-mail: [email protected]
Website: www.econ.au.dk/vip_htm/kkleinjans/Default.htm
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
